Journal
INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS
Volume 64, Issue -, Pages 221-231Publisher
ELSEVIER SCIENCE INC
DOI: 10.1016/j.irfa.2019.05.008
Keywords
Bitcoin; Ethereum; Martingale difference hypothesis; Adaptive market hypothesis; Efficient market hypothesis
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This paper investigates the adaptive market hypothesis (AMH) with respect to the high frequency markets of the two largest cryptocurrencies - Bitcoin and Ethereum, versus the Euro and US Dollar. Our findings are consistent with the AMH and show that the efficiency of the markets varies over time. We also discuss possible news and events which coincide with significant changes in the market efficiency. Furthermore, we analyse the effect of the sentiment of these news and other factors (events) on the market efficiency in the high frequency setting, and provide a simple event analysis to investigate whether specific factors affect the market efficiency/inefficiency. The results show that the sentiment and types of news and events may not be significant factor in determining the efficiency of cryptocurrency markets.
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